Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
Author:
Affiliation:
1. Department of Applied Mathematics, Illinois Institute of Technology, John T. Rettaliata Engineering Center, Chicago, Illinois, USA
Funder
National Science Foundation
Directorate for Mathematical & Physical Sciences
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/15326349.2024.2353045
Reference29 articles.
1. Acciaio.; B.;Penner I. Dynamic risk measures. In Advanced Mathematical Methods for Finance; Di Nunno G. Øksendal B. Eds.; Berlin Heidelberg: Springer 2011; 1–34.
2. Coherent Measures of Risk
3. Artzner, P.;Delbaen, F.;Eber, J.-M.;Heath, D. Thinking coherently. Risk 1997, 10, 68–71.
4. Coherent multiperiod risk adjusted values and Bellman’s principle
5. Robust distortion risk measures
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